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I have three new "more robust" versions of the OddBall code with
various features. They are available on Mark Brown's Oddball site.
There is also a document describing the code. The introduction to the
document is quoted below.
Those interested in the OddBall system can download the material from
the site at <http://www.oddballsystems.com/>
The code verifies on both TS2000i and TS4.0 and does not use any
functions. It may require some minor changes in the Buy and Sell
statements to run on TS 6.
Also, I would like to acknowledge a similar approach by Charles
Johnson. Someone sent me the OddBall code he had posted on 2/21
(while I was on vacation) which used a similar approach. I had not
seen it before.
His code saved the value from the previous day in an array whereas my
code stores the bar number of the value in the array but other than
that our approaches are similar. My approach allows me to check the
date and time on the bar before using the data, which fixes the
problem with short trading days. His post on 2/21 describes the
short-trading-day problem also.
Bob Fulks
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Introduction
This paper summaries my work on various versions of Mark Brown's
OddBall trading system. My objective was to make a robust version of
the system that I could then improve further. I am making it
available to others who might like to add their own improvements to a
more robust base code.
The code described herein is contained in a single .ELA file called
"bf_OddB2.ela". It contains three Systems (Signals) and corresponding
Indicators:
bf.OddBall.2 - Some test code I wrote to illustrate some problems
with the original OddBall code.
bf.OddBall.3 - A robust version of the original code with a few
added features:
> Works on any bar compression. It begins trading at the
specified time bar and evaluates trades each bar thereafter.
> Automatically finds the proper bar to compare from the
previous day for the rate-of-change calculation and avoids
the short-trading-day problem.
> Works properly on combined day/night symbols such as ES,
trading only during the day session.
> Includes an optional market-on-close order.
> Reports unresolved errors in data in the debug log.
bf.Oddball.4 - This version contains all the features of the
bf.OddBall.3 system but adds a few more features for added
flexibility:
> Allows you to separately specify the bar compression
and the trading interval.
> Allows offsetting the evaluation bars by some number
of bars (+ or -) from the specified bar to fine-tune
entries.
> Allows filtering the rate-of-change to help eliminate
noise.
The original bf.OddBall code I posted to the Omega List on 3/15/02
has been replaced by the bf.OddBall.4 code and should no longer be
used.
If you find any bugs in any of this code please notify me.
Bob Fulks
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